Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 7 8 6
Score 2.38 3.3 1.68
Market Cap (Millions USD) 4021.65 3665.97 2965.65
Predicted Beta 0.31 0.3 0.3
Idiosyncratic Volatility 0.47 0.48 0.48

Annualized return and volatility

SPYV
Annualized Return 0.0652
Annualized Std Dev 0.1808
Annualized Sharpe (Rf=0%) 0.3608

Row

Daily Return Statistics

SPYV
Observations 4920.0000
NAs 194.0000
Minimum -0.0970
Quartile 1 -0.0041
Median 0.0003
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0054
Maximum 0.1050
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0114
Skewness -0.2523
Kurtosis 10.5615

Downside Risk

SPYV
Semi Deviation 0.0083
Gain Deviation 0.0082
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5845
Historical VaR (95%) -0.0172
Historical ES (95%) -0.0282
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0275
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-06 2013-02-12 -0.5845 1368 363 1005
2000-12-29 2002-10-09 2004-01-26 -0.3367 785 452 333
2018-01-29 2018-12-24 2019-04-23 -0.1917 315 233 82
2015-05-22 2016-02-11 2016-06-06 -0.1473 266 186 80
2007-07-16 2007-08-15 2007-10-09 -0.1038 62 23 39

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SPYV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 0.0 0.0 0.0 0.0
2001 0.1 -0.7 0.0 0.4 0.0 0.0 0.0 0.0 -0.1 0.9 0.0 0.0 0.5
2002 0.7 1.6 -0.9 0.9 0.0 0.0 -1.3 0.0 3.2 1.8 0.0 0.0 6.1
2003 0.0 0.0 1.0 0.1 0.0 0.1 -1.3 0.0 1.5 0.0 0.4 0.0 1.8
2004 0.0 1.0 0.4 0.0 -0.3 -1.1 0.0 0.1 1.6 0.3 1.0 0.0 3.0
2005 0.6 0.4 -0.4 0.0 0.9 0.3 0.2 1.3 0.0 -0.9 1.2 0.0 3.6
2006 0.0 0.9 0.0 -0.3 1.1 0.0 -0.3 0.4 0.0 -0.5 -0.5 0.0 0.7
2007 0.4 -0.2 0.0 0.0 0.2 0.0 1.2 0.0 1.4 -2.9 0.0 0.0 0.1
2008 1.5 0.0 3.8 1.8 0.0 0.6 -0.4 0.0 1.2 0.0 -9.3 0.0 -1.4
2009 0.0 0.0 1.4 0.2 2.2 0.5 0.0 -1.9 -2.3 0.0 1.2 0.0 1.2
2010 1.3 0.9 0.4 0.0 -1.5 -0.3 0.0 2.8 0.5 -0.3 2.1 0.0 5.9
2011 2.0 -1.4 0.3 0.0 -1.8 1.4 -0.2 -0.4 0.0 -4.0 -0.4 0.0 -4.6
2012 1.4 0.5 0.0 1.4 -2.4 0.0 0.1 0.0 0.3 1.1 0.0 0.0 2.3
2013 1.0 0.3 -0.2 -0.6 0.0 0.6 0.3 0.0 0.5 0.2 0.0 0.0 2.2
2014 0.0 0.0 0.3 0.0 0.0 0.5 -0.1 0.0 -1.3 0.0 -0.1 0.0 -0.8
2015 0.0 0.0 -0.5 0.8 0.2 0.5 0.0 -3.0 0.2 0.0 0.9 0.0 -0.9
2016 0.1 2.1 0.1 0.0 0.1 0.2 -0.7 -0.4 0.0 -0.8 0.4 0.0 1.2
2017 -0.4 1.5 0.0 0.1 0.7 0.0 0.3 0.5 0.0 0.3 -0.1 0.0 2.9
2018 0.1 -1.1 0.0 -0.3 0.7 0.0 -0.6 0.0 0.4 0.8 0.0 0.0 0.0
2019 0.2 0.7 1.3 -0.4 0.0 0.8 -1.3 0.0 -1.4 1.4 0.0 -0.1 1.1

Row

Rolling Performance Chart

Snail Trail Chart